Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data

Verrall, R. J., Margraf, C. & Elpidorou, V. (2018). Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data. Insurance: Mathematics and Economics, doi: 10.1016/j.insmatheco.2018.03.001

[img] Text - Accepted Version
Restricted to Repository staff only
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (305kB) | Request a copy

Abstract

This paper addresses a new problem in the literature, which is how to consider reserving issues for a portfolio of general insurance policies when there is excess-of-loss reinsurance. This is very important for pricing considerations and for decision making regarding capital issues. The paper sets out how this is currently often tackled in practice and provides an alternative approach using recent developments in stochastic claims reserving. These alternative approaches are illustrated and compared in an example using real data. The stochastic modelling framework used in this paper is Double Chain Ladder, but other approaches would also be possible. The paper sets out an approach which could be explored further and built on in future research.

Item Type: Article
Additional Information: © 2018, Elsevier. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: General Insurance; Claims Reserving; Risk
Divisions: Cass Business School > Faculty of Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/19217

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics